Recently, show clipping stopped working for me. I've now tracked down the problem.
It seems to be a bug related to certain camera profiles. If I use the newer Fuji profiles (Classic Neg or Bleach Bypass), clipped areas no longer show, even if I push the exposure, black and white points etc all the way to the end of the scale. Exactly the same problem seems to happen in Camera RAW.
Any suggestions for a workaround? Switching to another profile is not helpful because it produces a different histogram.
Be sure to include the first ten lines of the menu command Help > System Info. Provide all the details, rather than linking back to this thread -- experience shows that Adobe developers tend not to follow the links. Product developers read everything posted there, but rarely participate here, which is primarily a user-to-user forum.
Also, choose one of the problem raws and do Metadata > Save Metadata To File. Upload the raw and its .xmp sidecar to Dropbox or similar and include the sharing link in your post. That will make it much easier for Adobe to reproduce the problem and make it more likely they will act on it faster.
"Fujifilm's unique Film Simulation function has been added with the new “CLASSIC Neg” mode, simulating color negative film traditionally chosen for snapshots of day-to-day scenes, so that users can enjoy high-quality photo with versatile tonal variations."
Try shooting raw+JPEG with the in-camera CLASSIC Neg mode setting and see if the JPEGS without any other settings applied inside LrC exhibit no highlight or shadow clipping. If so you have your answer....it's by design! If not then as John Ellis suggested create a problem report.